Trend Entries with Highest High and Lowest Low Trailing Stops

Summary

This strategy enters long after three consecutive higher closes and short after three consecutive lower closes, provided it is flat. It then sets a dynamic exit for a long at the lowest low over a configurable lookback, or for a short at the highest high. The document gives default lookbacks of 20 bars and describes plotting the stop levels while a position is open.

The method aims to join directional moves and trail exits using recent price extremes. The document notes that choppy conditions can trigger repeated entries and stops, and that late-trend reversals, extreme moves, and unsuitable lookback settings can weaken protection or performance. It suggests trend and momentum filters, volatility-based parameter adjustment, protective stops, and risk-based sizing. Published backtest settings use BTC/USDT futures from March 2023 to March 2024, with hourly base data and a daily period; no performance results are provided, so the strategy's effectiveness is not established by the supplied evidence.

Key ideas

• Three consecutive higher closes trigger a long entry when the strategy is flat.
• Three consecutive lower closes trigger a short entry when the strategy is flat.
• Long exits use the recent lookback low, while short exits use the recent lookback high.
• The default high and low lookbacks are each 20 bars.
• The document identifies choppy markets and reversals as risks and supplies no backtest performance results.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.